This paper investigates the dynamics of property prices and their interaction with output growth in a general equilibrium model. Closed form solutions and testable hypotheses are derived from a mildly restricted version of the model. The testable hypotheses are broadly supported empirically. In...

This paper studies the relative volatility of commercial and residential property prices. Empirical evidence of commercial property prices being more volatile than that of residential property is presented. Models are built a la Lucas. Theoretical statements are derived to show the exact...

Tariff is probably one of the oldest form of taxation and there is a long history of tariff study. (For instance, see Irwin,1996), McCord (1970), and the reference therein.) Previous studies on tariff tend to ignore its impact on the housing market. Traditionally, the study of housing market and...

The significant price-trading volume correlation found in the residential property market presents a challenge to the rational expectation hypothesis. Existing theories account for this fact with either capital market imperfection (down-payment effect or loss-aversion consideration) or imperfect...

The efficiency of a market is challenged when price dispersion occurs. Previous studies focused on non-durable consumption goods. This study extends the analysis to the case of residential property, whose transactions are dominated by a second-hand market with many potential buyers and sellers....

Two empirical questions concerning the equity and housing have been studied extensively: (1) Are the price and return serially correlated, and (2) What is the optimal weight of housing in the portfolio? The answer to the second question crucially depends on the cross-correlation of assets. This...

In this study a dynamic random effects simultaneous equation model is developed to model household tenure choice decision. The novelty of the study lies in accounting for the dynamic aspects of housing tenure mode, namely, a move is prerequisite to a change in tenure mode and they are determined...